Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0324
Annualized Std Dev 0.2017
Annualized Sharpe (Rf=0%) 0.1605

Row

Daily Return Statistics

Close
Observations 3712.0000
NAs 1.0000
Minimum -0.1137
Quartile 1 -0.0060
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0068
Maximum 0.0932
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0127
Skewness -0.2831
Kurtosis 6.3286

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0086
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0091
Downside Deviation (0%) 0.0091
Maximum Drawdown 0.4670
Historical VaR (95%) -0.0198
Historical ES (95%) -0.0305
Modified VaR (95%) -0.0201
Modified ES (95%) -0.0360
From Trough To Depth Length To Trough Recovery
2007-02-27 2008-10-10 2014-07-01 -0.4670 1850 411 1439
2018-01-29 2020-03-16 NA -0.4243 792 536 NA
2015-08-11 2016-02-12 2016-06-08 -0.1436 209 129 80
2014-07-29 2014-12-15 2015-03-18 -0.1212 161 98 63
2006-08-21 2006-11-21 2007-01-24 -0.1061 107 66 41

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 0.3 -0.5 0.5 -0.4 -0.2 0.3 -0.5 -0.3
2007 1.8 0 -0.6 0.4 0.4 0.5 -1.1 2.3 1.2 -1.7 -0.5 -0.3 2.4
2008 0.2 -0.6 1.8 -0.3 1.1 0.1 -1.1 0.5 -1.9 0.9 -5.6 1 -4
2009 -0.5 0.4 1 -0.3 1.3 1.5 0.7 -1.3 -2.6 -0.5 2.6 -0.5 1.8
2010 0.2 0.7 1.3 -0.8 0.5 0.6 -0.6 2 -0.2 -1.1 1.7 0.9 5.2
2011 1.7 -0.7 -1.3 0.2 -0.4 0.4 0.1 -1.2 -2.4 -0.7 -2.4 1.3 -5.5
2012 1 0.5 1 0.2 -3 1.3 0 0.4 0.3 1.2 -1.1 0.8 2.4
2013 0 0.4 -5.1 -0.4 -1.3 1 2.1 -2.3 -0.4 -1.3 -0.4 0.3 -7.4
2014 -2 0.5 0.7 1.5 0.2 1.3 -0.4 -0.2 -1.3 3.6 0.7 -0.6 3.9
2015 -1.2 -0.5 -0.2 0.5 1 1.1 0.7 -4 -0.5 -0.4 0.7 -0.7 -3.6
2016 -0.2 1.7 -2.2 -0.3 0.2 0.1 -0.8 0.6 -0.5 -0.3 -0.7 0.1 -2.3
2017 0.7 0.7 -1.2 0.2 1 0.5 0.3 0.1 0.4 0.3 -0.8 0.5 2.7
2018 1.1 -2.8 1.5 -0.2 0.8 -0.2 0.5 -0.1 0.4 0.8 0.3 -0.3 1.7
2019 -0.3 -0.1 1.9 -0.2 -0.8 1.9 -0.6 1.1 -0.1 0.7 -1.1 0.3 2.7
2020 -1.8 -0.3 -5.7 -1.4 1.2 -0.9 -3.4 0.2 -0.2 -0.9 2.3 0.2 -10.3
2021 0.7 1.8 1.8 NA NA NA NA NA NA NA NA NA 4.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.0 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  50.6 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.4 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  49.9 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  50.6 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-23  50.1 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart